Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Oct 13 (3D) Oct 14 (4D) Oct 15 (5D) Oct 16 (6D) Oct 17 (7D) Oct 20 (10D) Oct 21 (11D) Oct 22 (12D) Oct 23 (13D) Oct 24 (14D) Oct 31 (21D) Nov 07 (28D) Nov 14 (35D) Nov 21 (42D) Nov 28 (49D) Dec 05 (56D) Dec 12 (63D) Dec 19 (70D) Dec 26 (77D)
lower 661.053 659.49 658.112 656.867 655.722 652.708 651.807 650.947 650.121 649.327 644.42 640.283 636.639 633.344 630.314 627.494 624.845 622.34 619.957
upper 681.267 682.83 684.208 685.453 686.598 689.612 690.513 691.373 692.199 692.993 697.90 702.037 705.681 708.976 712.006 714.826 717.475 719.98 722.363
expected move 10.107 11.67 13.048 14.293 15.438 18.452 19.353 20.213 21.039 21.833 26.74 30.877 34.521 37.816 40.846 43.666 46.315 48.82 51.203
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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